Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 2 2
Score -3.06 -4.38 -5.8
Market Cap (Millions USD) 30.96 30.4 30.57
Predicted Beta 0.12 0.11 0.12
Idiosyncratic Volatility 0.76 0.51 1.1

Annualized return and volatility

ADRD
Annualized Return 0.0577
Annualized Std Dev 0.2464
Annualized Sharpe (Rf=0%) 0.2343

Row

Daily Return Statistics

ADRD
Observations 4381.0000
NAs 733.0000
Minimum -0.1442
Quartile 1 -0.0052
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0064
Maximum 0.2077
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0155
Skewness 0.7127
Kurtosis 26.8935

Downside Risk

ADRD
Semi Deviation 0.0109
Gain Deviation 0.0129
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6155
Historical VaR (95%) -0.0201
Historical ES (95%) -0.0361
Modified VaR (95%) -0.0135
Modified ES (95%) -0.0135
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2017-11-24 -0.6155 2579 348 2231
2003-01-17 2003-03-19 2003-05-12 -0.2392 81 44 37
2018-01-29 2018-12-24 NA -0.2239 490 233 NA
2006-05-10 2006-06-13 2006-10-26 -0.1448 121 24 97
2007-07-13 2007-08-16 2007-10-12 -0.1310 66 25 41

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ADRD
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2003 0.0 0.0 0.0 1.1 0.0 -4.6 0.0 0.0 -0.5 0.0 0.8 0.0 -3.2
2004 0.0 1.6 1.1 0.0 0.0 -0.8 0.0 0.6 2.0 0.3 1.3 0.0 6.3
2005 1.1 0.2 -0.1 0.0 0.5 0.1 1.1 1.4 0.0 0.1 1.8 0.0 6.4
2006 0.0 0.9 0.0 0.1 0.6 0.0 -1.0 0.7 0.0 -0.1 -0.5 0.0 0.7
2007 1.0 -1.3 0.0 0.1 0.8 0.0 -0.1 0.0 1.3 -3.4 0.0 0.0 -1.6
2008 2.1 0.0 3.3 0.4 0.0 -1.3 -1.3 0.0 0.5 0.0 -8.8 0.0 -5.5
2009 0.0 0.0 2.9 0.9 3.4 2.1 0.0 -2.3 -2.6 0.0 2.5 0.0 6.8
2010 1.9 0.4 1.5 0.0 -2.2 0.9 0.0 3.0 1.2 -0.9 2.9 0.0 9.0
2011 2.4 -0.9 0.9 0.0 -1.7 0.6 -1.7 -0.5 0.0 -3.1 -0.6 0.0 -4.6
2012 1.7 1.2 0.0 0.7 -2.1 0.0 -0.1 0.0 1.1 1.3 0.0 0.0 3.7
2013 1.1 -0.8 -0.4 -0.4 0.0 0.8 1.3 0.0 0.0 -0.7 0.0 0.0 0.9
2014 0.0 0.0 0.1 0.5 0.0 1.1 -0.4 0.0 -1.2 0.0 -0.2 0.0 -0.2
2015 0.0 0.0 0.8 0.6 -0.7 0.3 0.0 -3.2 0.0 0.0 0.5 0.0 -1.7
2016 -0.9 2.1 -1.4 0.0 0.2 0.5 -1.1 0.3 0.0 -0.3 -0.2 0.0 -0.8
2017 0.3 1.1 0.0 0.3 0.5 0.0 0.8 0.1 0.0 0.3 -0.1 0.0 3.4
2018 0.1 -1.5 0.0 -0.5 0.8 0.0 -0.6 0.0 0.4 1.2 0.0 0.0 -0.1
2019 -0.3 -0.3 1.2 -0.9 0.0 0.4 -1.0 0.0 -1.4 0.7 0.0 -0.1 -1.8

Row

Rolling Performance Chart

Snail Trail Chart